Inference on the cointegration rank in fractionally integrated processes

By J. Breitung, Uwe Hassler. 2002

124 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/792b5215fb89d43d42d21605ad18b4c5d3b4a3a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Morten Ørregaard Nielsen
2. Katsumi Shimotsu
3. Søren Johansen
4. Carlos Velasco
5. Matei Demetrescu
6. Ignacio N. Lobato
7. V. Kuzin
8. Uwe Hassler

In Finance

1. Morten Ørregaard Nielsen
2. Katsumi Shimotsu
3. Søren Johansen
4. Carlos Velasco
5. Matei Demetrescu
6. Ignacio N. Lobato
7. Peter M. Robinson
8. V. Kuzin

Citations in the corpus

• Residual Log-Periodogram Inference for Long-Run-Relationships (2002, unknown): “while Breitung and Hassler (2002) consider a time domain approach valid in the nonstationary case.”
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “Breitung and Hassler (2002) suggested to analyze model (27), where is an unknown parameter and construct test for the rank of and based on the assumption that d is known, and vt is an AR process (B(L) = Ip) with i.i.d. Gaussian errors.”
• Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “This feature in particular distinguishes the approach from the fully parametric cointegration rank testing approaches of Johansen (1988, 1991) for standard I (1) I (0) cointegration and Breitung & Hassler (2002) for fractional cointegration.”
• Multivariate Lagrange Multiplier Tests for Fractional Integration (2005, unknown): “+ O p ¡ n −1 ¢ , (22) following the arguments of Tanaka (1999, p. 579).”
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008, background): “The adjustment matrix = ?( 0 ?) 1 satis…es 0 = Ir; and (3) is a special case of model (1) with A (z) = 1; apart from the lagged Xt: It is now a natural idea to make the model more ‡exible by adding a lag structure, and Granger suggested to add lags of Xt:”
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “When da is a positive integer, the series in (4) terminates, giving the usual formula in terms of the differences and higher order differences of Xat.”
• Efficient Inference in Multivariate Fractionally Integrated Time Series Models (2004, unknown): “Indeed, the main aim of Breitung & Hassler (2002) is to construct a fractional trace statistic similar to Johansen (1988), just as the Dickey-Fuller test generalizes to Johansen’s (1988) trace statistic.”
• LONG MEMORY TESTING IN THE TIME DOMAIN (2007, methodology): “Assuming d = 1, the regression similar to ( 6 ) becomes”
• Efficient Wald Tests for Fractional Unit Roots (2007, methodology): “The t-test for the signi cance of 2 in (9) has been considered by Agiakloglou and Newbold (1994) and Breitung and Hassler (2002).”